Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0014 |
| Annualized Std Dev | 0.1536 |
| Annualized Sharpe (Rf=0%) | -0.0091 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4610.0000 |
| NAs | 1.0000 |
| Minimum | -0.1328 |
| Quartile 1 | -0.0033 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0037 |
| Maximum | 0.1728 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0097 |
| Skewness | 0.3441 |
| Kurtosis | 44.2882 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0070 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0084 |
| Downside Deviation (MAR=210%) | 0.0119 |
| Downside Deviation (Rf=0%) | 0.0069 |
| Downside Deviation (0%) | 0.0069 |
| Maximum Drawdown | 0.4825 |
| Historical VaR (95%) | -0.0122 |
| Historical ES (95%) | -0.0231 |
| Modified VaR (95%) | -0.0063 |
| Modified ES (95%) | -0.0063 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-06-11 | 2008-10-10 | 2012-09-25 | -0.4825 | 2342 | 1345 | 997 |
| 2012-11-13 | 2020-03-18 | NA | -0.2950 | 2102 | 1848 | NA |
| 2002-11-29 | 2003-01-07 | 2003-02-10 | -0.0400 | 49 | 26 | 23 |
| 2003-02-12 | 2003-03-14 | 2003-03-31 | -0.0285 | 33 | 22 | 11 |
| 2012-09-27 | 2012-10-11 | 2012-10-25 | -0.0270 | 21 | 11 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | 0.1 | 0 |
| 2003 | -0.4 | -0.3 | -1.3 | 0.3 | 1.1 | -0.6 | -0.3 | 0.6 | 0.3 | 1.4 | -0.8 | 0.9 | 1 |
| 2004 | 1.1 | -0.4 | -0.5 | 2.2 | 1 | 1.8 | 0 | 0.3 | -0.4 | 0.6 | -0.3 | 1.3 | 6.9 |
| 2005 | 1.1 | 0.7 | 0.6 | -0.6 | 1.1 | 0.5 | 0.1 | 0.4 | 0.7 | 0.4 | 1.1 | -0.1 | 6.3 |
| 2006 | -0.3 | -0.2 | 0.7 | 0.6 | 1.1 | -0.3 | 0.1 | -0.4 | -0.3 | 0.1 | -0.4 | 0.1 | 0.7 |
| 2007 | 0.7 | 0.8 | 0.1 | 0.8 | -0.6 | 0.3 | -0.7 | 1.1 | 1.6 | -1.4 | 3.6 | 1.9 | 8.5 |
| 2008 | 0.9 | -1.2 | 0.6 | -0.8 | -0.3 | 0.3 | -0.2 | -0.6 | 5.1 | 0.9 | -2.6 | -1 | 1 |
| 2009 | 1 | 1.4 | -1 | 0.2 | -0.3 | 0.3 | 1.2 | 0.1 | -0.1 | 0 | 0.3 | -0.3 | 2.8 |
| 2010 | 0.6 | 0.1 | -0.7 | -0.9 | 0.7 | 0.7 | -0.1 | 0.3 | -0.1 | 0.3 | -1.8 | 2.7 | 1.8 |
| 2011 | 0.2 | 0.4 | -0.2 | 0.6 | -0.3 | 0.4 | 1 | 0.4 | 0.8 | 0.8 | 0.9 | 0.1 | 5.3 |
| 2012 | 0.7 | -0.3 | 0.1 | 0.1 | -0.4 | 0.2 | -0.5 | 0 | -0.6 | 0 | 0.6 | -0.6 | -0.7 |
| 2013 | 0 | 0.3 | -0.3 | -0.3 | 0 | 2.2 | -1.6 | 1 | -1 | 0.6 | -0.2 | -0.2 | 0.3 |
| 2014 | 0.2 | 0.5 | -0.2 | 0.9 | 0.2 | -0.4 | 0.4 | 0.1 | 0.4 | -0.6 | 0.2 | 0 | 1.8 |
| 2015 | 0.4 | 0.3 | 0 | -0.6 | 0.4 | 0 | 0.3 | 0.2 | -0.5 | -0.2 | 0.2 | 0 | 0.5 |
| 2016 | 1.2 | 0.4 | 0.4 | 0.3 | 0.2 | 0.5 | -0.4 | -0.1 | -0.5 | 0 | -1 | 0.3 | 1.2 |
| 2017 | 0.7 | -0.4 | 0.4 | -0.2 | 0.2 | 0.3 | 0 | 0.1 | -0.1 | 0.4 | 0.4 | 0.1 | 1.8 |
| 2018 | -0.3 | -0.2 | 0.7 | 0.2 | 0 | 0 | -0.2 | -0.1 | -0.2 | -0.1 | 0.3 | -0.1 | -0.1 |
| 2019 | 0.2 | 0 | -0.1 | 0.7 | 0.1 | 0 | 0.3 | -0.1 | -0.1 | 0.4 | 0.2 | 0.2 | 1.8 |
| 2020 | 0.3 | -0.9 | -3.5 | 0.8 | 0.2 | 0.5 | 0.5 | 1.3 | -0.1 | 0.3 | 0.1 | 0.9 | 0.2 |
| 2021 | 0.1 | -0.3 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
